One that confuses users switching over from FreeBSD and Linux is that OpenBSD's implementation of WPA is in the kernel, there is no wpa_supplicant userland component.

As jggimi mentioned, in order to utilize the kernels software WPA support, drivers must first support it.

The 4.4 release was the first that offered WPA-PSK/WPA2-PSK but it didn't support every wireless chipset in the tree, 4.5 has come a long way since then.. so presumably more drivers will support it come May.